Kroese, Dirk P. (2010). Cross-entropy method. In Encyclopedia of operations research and management sciences3rd ed. (pp. 1-12) New York, United States: Springer-Verlag. doi:10.1002/9780470400531.eorms0210
The cross-entropy method is a recent versatile Monte Carlo technique. This article provides a brief introduction to the cross-entropy method and discusses how it can be used for rare-event probability estimation and for solving combinatorial, continuous, constrained, and noisy optimization problems. A comprehensive list of references on cross-entropy methods and applications is included.